Struct SpreadResult

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pub struct SpreadResult {
    pub bid_spread: f64,
    pub ask_spread: f64,
    pub bid_intensity: f64,
    pub ask_intensity: f64,
}

Expand description

Market-making spreads derived from fill intensities.

Computed by inverting the exponential fill-rate formula delta = -ln(lambda / a) / kappa.

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§bid_spread: f64

Optimal bid spread (distance from mid to bid).

§ask_spread: f64

Optimal ask spread (distance from mid to ask).

§bid_intensity: f64

Optimal bid intensity: a * exp(-kappa * bid_spread).

§ask_intensity: f64

Optimal ask intensity: a * exp(-kappa * ask_spread).

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impl SpreadResult

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pub fn from_intensities( bid_intensity: f64, ask_intensity: f64, a: f64, kappa: f64, ) -> Self

Builds a SpreadResult from raw fill intensities.

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impl Clone for SpreadResult

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fn clone(&self) -> SpreadResult

Returns a duplicate of the value. Read more

1.0.0 (const: unstable) · Source§

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source. Read more

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impl Debug for SpreadResult

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fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter. Read more

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impl PartialEq for SpreadResult

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fn eq(&self, other: &SpreadResult) -> bool

Equality operator ==. Read more

1.0.0 (const: unstable) · Source§

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=. Read more

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impl StructuralPartialEq for SpreadResult

Auto Trait Implementations§

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impl UnwindSafe for SpreadResult

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impl<T> Any for T
where T: 'static + ?Sized,

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fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

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impl<T> Borrow<T> for T
where T: ?Sized,

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fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

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impl<T> BorrowMut<T> for T
where T: ?Sized,

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fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more

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impl<ST, DT> CastableFrom<ST, Initialized, Initialized> for DT
where ST: ?Sized, DT: ?Sized,

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impl<ST, DT> CastableFrom<ST, Uninit, Uninit> for DT
where ST: ?Sized, DT: ?Sized,

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impl<T> CloneToUninit for T
where T: Clone,

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unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)

Performs copy-assignment from self to dest. Read more

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impl<T> From<T> for T

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fn from(t: T) -> T

Returns the argument unchanged.

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impl<T, U> Into for T
where U: From<T>,

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fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

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impl<T> IntoEither for T

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fn into_either(self, into_left: bool) -> Either<Self, Self> ⓘ

Converts self into a Left variant of Either<Self, Self> if into_left is true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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fn into_either_with<F>(self, into_left: F) -> Either<Self, Self> ⓘ
where F: FnOnce(&Self) -> bool,

Converts self into a Left variant of Either<Self, Self> if into_left(&self) returns true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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